State space models provide a useful stochastic description for dynamic phenomena, based on unobserved or latent variables. When the model rests on linear and Gaussian assumptions there exists a well-known iterative procedure, called the Kalman filter, which gives analytic updating recursion for...

This article concerns parameter estimation for general state space models, following a frequentist likelihood-based approach. Since exact methods for computing and maximizing the likelihood function are usually not feasible, approximate solutions, based on Monte Carlo or numerical methods, have...

We consider the filtering problem for partially observable stochastic processes solutions to systems of stochastic difference equations. In the first part of the paper we shall present a simple constructive method to obtain finite dimensional filters in discrete time. Then, applying some...

State space models provide a useful stochastic description for dynamic phenomena, based on unobserved or latent variables. When the model rests on linear and Gaussian assumptions there exists a well-known iterative procedure, called the Kalman filter, which gives analytic updating recursion for...

State space models provide a useful stochastic description for dynamic phenomena, based on unobserved or latent variables. When the model rests on linear and Gaussian assumptions there exists a well-known iterative procedure, called the Kalman filter, which gives analytic updating recursion for...